Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle-Reference-Cited by-同舟云学术

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Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle

Published:2015-12 Issue: Volume:87 Page:72-82
ISSN:0301-4215
Container-title:Energy Policy
language:en
Short-container-title:Energy Policy

Author:

Khalifa Ahmed,Caporin Massimiliano,Hammoudeh Shawkat

Funder

OAR – Qatar University

MIUR PRIN project MISURA - Multivariate Statistical Models for Risk Assessment

Publisher

Elsevier BV

Subject

Management, Monitoring, Policy and Law,General Energy

Reference27 articles.

1. Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options;Äijö;Int. Rev. Financ. Anal.,2008

2. DM-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies;Andersen;J. Financ.,1998

3. Prediction in dynamic models with time-dependent conditional variance;Baillie;J. Econom.,1992

4. Studies of stock price volatility changes;Black;Proc. Bus. Econ. Sect. Am. Stat. Assoc.,1976

5. Generalized long-memory GARCH models for intra-daily volatility;Bordignon;Comput. Stat. Data Anal.,2007

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